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Forecasting the Equity Risk Premium: The Role of Technical Indicators
16 references·2 citing·45 second hop
Forecasting the Equity Risk Premium: The Role of Technical Indicators (2011)Forecasting the Equity Risk Premium: The …Presidential Address: Discount Rates (2011)Presidential Address: Discoun…Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy (2009)Out-of-Sample Equity Premium …Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)Optimal Versus Naive Diversif…A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)A Comprehensive Look at The E…Approximately normal tests for equal predictive accuracy in nested models (2006)Approximately normal tests fo…Trusting the Stock Market (2005)Trusting the Stock MarketConsumption, Aggregate Wealth, and Expected Stock Returns (2001)Consumption, Aggregate Wealth…Predictive regressions (1999)Predictive regressionsSimple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Simple Technical Trading Rule…The Variation of Economic Risk Premiums (1991)The Variation of Economic Ris…Business conditions and expected returns on stocks and bonds (1989)Business conditions and expec…The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)The Dividend-Price Ratio and …Dividend yields and expected stock returns (1988)Dividend yields and expected …Predicting returns in the stock and bond markets (1986)Predicting returns in the sto…Stock Returns and the Term Structure (1985)Stock Returns and the Term St…Asset returns and inflation (1977)Asset returns and inflationDeep Portfolio Optimization via Distributional Prediction of Residual Factors (2021)Deep Portfolio Optimization v…Predictability of Equity Returns over Different Time Horizons: A Nonparametric Approach (2016)Predictability of Equity Retu…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Efficient Capital Markets: II (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)The General Theory of Employment, Interest and Money. (1936)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Noise Trader Risk in Financial Markets (1990)The Behavior of Stock-Market Prices (1965)Does the Stock Market Overreact? (1985)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Market underreaction to open market share repurchases (1995)Do Investors Trade Too Much? (1999)Improved Methods for Tests of Long‐Run Abnormal Stock Returns (1999)An Intertemporal Capital Asset Pricing Model (1973)A Theory of the Term Structure of Interest Rates (1985)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)Expected stock returns and volatility (1987)Investor Psychology and Asset Pricing (2001)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Testing for a Unit Root in Time Series Regression (1988)ARCH modeling in finance (1992)A five-factor asset pricing model (2014)The arbitrage theory of capital asset pricing (1976)The relationship between return and market value of common stocks (1981)Industry costs of equity (1997)Illiquidity and stock returns: cross-section and time-series effects (2002)Comparing Predictive Accuracy (1994)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Empirical Asset Pricing via Machine Learning (2020)PORTFOLIO SELECTION* (1952)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Robust performance hypothesis testing with the Sharpe ratio (2008)A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms (2009)Investor Sentiment Aligned: A Powerful Predictor of Stock Returns (2014)Law and Finance (1998)Social Interaction and Stock‐Market Participation (2004)Does Culture Affect Economic Outcomes? (2006)Financial Literacy and Stock Market Participation (2007)Social Capital, Trust, and Firm Performance: The Value of Corporate Social Responsibility during the Financial Crisis (2017)Macroeconomic Forecasting Using Diffusion Indexes (2002)Policy Uncertainty and Corporate Investment (2015)
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References

  • 2007A Comprehensive Look at The Empirical Performance of Equity Premium Prediction3,984 cited
  • 1989Business conditions and expected returns on stocks and bonds3,934 cited
  • 1988The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors3,784 cited
  • 1988Dividend yields and expected stock returns3,574 cited
  • 2007Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy?3,193 cited
  • 1977Asset returns and inflation2,701 cited
  • 2006Approximately normal tests for equal predictive accuracy in nested models2,513 cited
  • 1992Simple Technical Trading Rules and the Stochastic Properties of Stock Returns2,298 cited
  • 1985Stock Returns and the Term Structure2,260 cited
  • 2005Trusting the Stock Market2,242 cited
  • 2011Presidential Address: Discount Rates2,222 cited
  • 2001Consumption, Aggregate Wealth, and Expected Stock Returns2,187 cited
  • 1991The Variation of Economic Risk Premiums1,740 cited
  • 1986Predicting returns in the stock and bond markets1,715 cited
  • 2009Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy1,684 cited

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  • 1999Predictive regressions1,614 cited
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    • 2021Deep Portfolio Optimization via Distributional Prediction of Residual Factors35 cited
    • 2016Predictability of Equity Returns over Different Time Horizons: A Nonparametric Approach23 cited